Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.74 +7.24%
- Euro/Yen Carry Return Index 133.47 -.25%
- Emerging Markets Currency Volatility(VXY) 11.31 +.18%
- S&P 500 Implied Correlation 62.08 +4.23%
- ISE Sentiment Index 76.0 -1.30%
- Total Put/Call .96 -1.24%
- NYSE Arms 1.82 +42.95%
Credit Investor Angst:
- North American Investment Grade CDS Index 92.69 +2.32%
- America Energy Sector High-Yield CDS Index 1,552.0 -3.73%
- European Financial Sector CDS Index 78.13 +1.30%
- Western Europe Sovereign Debt CDS Index 16.40 -1.26%
- Asia Pacific Sovereign Debt CDS Index 75.22 +2.94%
- Emerging Market CDS Index 360.14 +1.68%
- iBoxx Offshore RMB China Corporate High Yield Index 123.9 -.01%
- 2-Year Swap Spread 10.25 -1.25 basis points
- TED Spread 40.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -20.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.13 -.64%
- 3-Month T-Bill Yield .20% unch.
- Yield Curve 119.0 -3.0 basis points
- China Import Iron Ore Spot $42.91/Metric Tonne -.46%
- Citi US Economic Surprise Index -29.3 +5.5 points
- Citi Eurozone Economic Surprise Index 17.3 +.1 point
- Citi Emerging Markets Economic Surprise Index 5.90 -.3 point
- 10-Year TIPS Spread 1.56% -2.0 basis points
- 44.2% chance of Fed rate hike at March 16 meeting, 50.4% chance at April 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -226 open in Japan
- China A50 Futures: Indicating -334 open in China
- DAX Futures: Indicating -64 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long